How does inflation uncertainty interact with inflation rate? The purpose of this article is to assess this question in Egypt in a wavelets transform framework. We investigate the direction of causality in the relationship inflation-inflation uncertainty by combining component GARCH model,...

In the age of globalization, it has become very important to find out the economic and non-variables which are significantly responsible for volatility in stock markets. Investors have become largely sensitive to these factors which results in change their investment strategy at the time of...

Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach - This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet...

Purpose - The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach - This paper employs advanced empirical approaches, such as Multivariate DCC-GARCH and Continuous Wavelet...

Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken 'directly' from the observed data. The procedure is useful when one wants to summarize the test results for several time...

Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil periods. The objective of this paper is to study...

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken ‘directly’ from the observed data. The procedure is useful when one wants to summarize the test results for several...

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic/generalised autoregressive conditional heteroscedastic, models with heavy‐tailed errors, the conventional maximum quasilikelihood estimator suffers from complex limit distributions and slow...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is well understood now that the tail heaviness of...